Bubbles Or Noise?: Reconciling the Results of Broad-dividend Variance-bounds TestsDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 1998 - Stocks - 30 pages |
Common terms and phrases
500 simulations Ackert and Smith's asset assumed bounds tests Brian Sack broad and narrow broad approach broad bubble broad construct Broad Euler condition broad present value broad price broad return broad-dividend approach broad-dividend test Broad-Dividend Variance-Bounds Tests broad-dividend volatility tests constant-discount-rate assumption detect differences discount factor discount rates Economics Discussion Series empirical bubble equivalent Euler equation excessively volatile fail to reject Federal Reserve Board Finance and Economics future dividends implies investors liquidation proceeds market prices mispricing Monetary Policy monotonically nonincreasing narrow and broad narrow bubble narrow construct narrow dividends narrow price narrow-dividend approach nonnegative NPVH and BPVH P₁ percent period t+j Phillips Curve portfolio present value hypothesis prices and dividends pricing errors rational bubbles reject BPVH-NB researcher s₁ sample sequence of shares share liquidations share prices share sequence shareholders stationarity properties t+k t+k value of MAPPE variance variance-bounds volatility tests West test Yvan Lengwiler zero-valued